recent developments in high frequency financial ... - Index of

250 J. M. Rodríguez-Poo et al.
(A.5) and (A.1) to (A.4). Condition NP(b) (least favorable curve) is immediate from
Lemma 6 of Severini and Wong (1992). This is due to the fact that we assume that the
conditional density function belongs to the exponential family.
The proof of Eq. (21) is equal to the proof of Eq. (15) except for that (L.2) is replaced
by (B.2).
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